Market multiples of the largest firms are most likely to reflect efficient pricing of stocks. For such firms, variations in market multiples should be largely explained by fundamental variables, and expected returns should be positively related to beta but not significantly related to other...

This study assesses the usefulness of flexible optimal models of business cycle variables for predicting stock market returns. We find that variable estimation periods identify structural breaks in months with large absolute returns and the optimal models recognize regime switches. Flexible...

We examined the relations of various market multiples with subsequent annual returns for portfolios of liquid U.S. stocks. In univariate regressions, price/sales (P/S) has the most consistently significant negative relation and highest explanatory power. Multivariate regression models,...

This paper tests the prediction of the tax-option hypothesis that the market impact of stock splits would be reduced by the 1986 Tax Reform Act which eliminated the difference between long- and short-term capital gains tax rates. The results show significant excess returns on stock split...